Partial derivative with respect to the measure and its application to general controlled mean-field systems
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Publication:2021397
DOI10.1016/j.spa.2021.01.003zbMath1471.93275MaRDI QIDQ2021397
Juan Li, Yajie Chen, Rainer Buckdahn
Publication date: 27 April 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2021.01.003
maximum principle; variational equation; adjoint equation; partial information; mean-field stochastic differential equation; partial derivative with respect to marginal law
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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